Well, first, don't fuss over him. That makes you look worried too. He needs to see that it's just fine with you if it thunders. You can even get out a special toy and treats to give at moments that he's not so shaky.
They make C.D's with the sounds of thunder, rain storms on them. You can play the c.d. at the very lowest level of volume for a day or two, gradually and ever so slightly turning up the volume every day until....maybe as much as a month down the road, it's turned up quite loudly. If the dog shows distress, go back. Turn it back down to a level where he was comfortable for a few more days. Play the cd every day for as long as you can stand it. LOL. Maybe even a few different times, but if you can play it fairly steadily, for long periods, I think it would be more effective. The dog just gets habituated or use to the sounds ahead of time, hopefully before the next big storm.
Good luck. Don't take a lot of notice of your dog when he's afraid. Act like it's no big deal.